Turn left and then turn right, where you'll find two thugs walking your way. Take out your Shotgun and shoot them both. Go through the door on the right and kill the thug on the stairways. Walk down the stairs and dive with your Dual Berretas, shooting the thug with a shotgun (he will die in slow-motion).
Now jump into the watery tunnel and walk to your right where you will see a thug receive an incoming call that there was trouble in the station. After he finishes with his call, kill him and his two companions. When all three are dead, turn left and go through a doorway. The screen will you shake as an explosion is heard, prompting Max to mutter, "What the hell was that?"
You will gain access to a hidden bank within the station.